search query: @author Simaan, Y. / total: 4
reference: 3 / 4
| Author: | Simaan, Y. |
| Title: | What is the opportunity cost of mean-variance investment strategies? |
| Journal: | Management Science
1993 : MAY, VOL. 39:5, p. 578-587 |
| Index terms: | FINANCE PORTFOLIO SELECTION DISTRIBUTION |
| Language: | eng |
| Abstract: | An analytical framework is set up to evaluate the foregone opportunity cost of mean-variance investment strategies. A parametric structure of the joint distribution of security returns, for which mean-variance investment strategy is suboptimal, is specifies. For all constant absolute risk-aversion investors, the optimal strategy, its corresponding mean-variance alternative, and the foregone opportunity cost of mean-variance investment strategy are analytically derived and operationalized empirically. |
SCIMA